Dec 15 was a triple-witch options expiration day and we noticed some unusual trades. Unfortunately I wasn't logging the real time quotes but I'm trying to understand the trade flow from a historic HTT. Can you help me understand the trades at 08:34:41 and 09:07:00? In particular, note that "Total Volume" at 09:05:10 seems to be less than at 08:34:41 and then catches up at 09:07:00.

Thanks.

HTT,MCD,20171215 000000,20171215 235959,,040000,093000,1,TESTREQUEST,10
TESTREQUEST,2017-12-15 04:06:22,173.2900,108,108,171.2000,173.2900,808464434,0,0,E,
TESTREQUEST,2017-12-15 07:26:46,173.5800,100,546,173.1500,173.6300,808465714,0,0,E,
TESTREQUEST,2017-12-15 08:13:34,173.5800,100,695,173.1500,173.6300,808466225,0,0,E,
TESTREQUEST,2017-12-15 08:34:41,173.1400,285,34722,173.2500,173.6300,808539464,0,0,E,
TESTREQUEST,2017-12-15 09:05:10,173.6200,100,1136,173.5000,173.6300,808466770,0,0,E,
TESTREQUEST,2017-12-15 09:07:00,173.1400,33742,34891,173.2000,173.7500,808661586,0,0,E,
TESTREQUEST,2017-12-15 09:23:58,173.6900,122,35122,173.5300,173.7000,808469826,0,0,E,
TESTREQUEST,2017-12-15 09:24:59,173.5300,138,35304,173.1500,173.5300,808470089,0,0,E,
TESTREQUEST,2017-12-15 09:29:30,173.9400,300,35654,173.5900,173.9800,808464456,0,0,E,
TESTREQUEST,2017-12-15 09:29:35,173.9800,100,35854,173.6100,174.0000,808464433,0,0,E,
TESTREQUEST,2017-12-15 09:29:45,174.0000,100,35954,173.8000,174.1800,808464735,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.1600,111,36065,173.8000,174.3500,808473429,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.2400,100,36173,173.8000,174.3500,808473648,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,100,36454,173.8000,174.3500,808473651,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,281,36754,173.8000,174.3500,808473666,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37154,173.8000,174.3500,808473667,0,0,E,
TESTREQUEST,2017-12-15 09:29:46,174.3400,400,37554,173.8000,174.3500,808473668,0,0,E,
TESTREQUEST,!ENDMSG!,

Good morning, Around 9:01 we received a deletion that was sent for a trade of 33472 shares that was originally sent at 08:32:37.827174. It then appears a similar trade was sent at 9:07 by the exchange. The total volume is the currently reported volume at the time of the trade, and that is what caused this apparent overlap.

Tim

Thanks for the quick reply. I'm trying to determine what the real-time "Q" feed would have looked like and how we can detect in real-time when something like this happens in the future. I assume we would have gotten normal "E" records for the 08:32:37 and 09:07:00 events but what would we have gotten for the 09:01 deletion? Do you happen to have saved traces of the "Q" feed for that time period?

Jack

We apply these items to our historical data upon reciept, so you can identify them in history by when the volume crosses, like in your case, but there is not a message in the level one data feed to help you process these situations real-time. It is something I will escalate to our product management to try and bring attention to on your behalf for future development.

Tim